Rotten Tomatoes has a fantastic feature where they match each state in the Union with a film set in that state. Here's my own attempt (with good ole DC), with films showing up on both lists marked by an asterisk.

• AL: To Kill a Mockingbird (Maycomb)
• AK: Insomnia* (Nightmute)
• AZ: Raising Arizona* (Tempe)
• AR: Sling Blade (Benton)
• CA: Fast Times at Ridgemont High (Ridgemont)
• CO: The Shining (Boulder)
• CT: Beetlejuice (Winter Rivers)
• DE: Fight Club* (Wilmington)
• DC: The Exorcist (Georgetown)
• FL: Ace Ventura: Pet Detective (Miami)
• GA: Deliverance (Oree)
• HI: Forgetting Sarah Marshall (Honolulu)
• ID: Napoleon Dynamite* (Preston)
• IL: Ferris Bueller's Day Off (Chicago)
• IN: A History of Violence (Millbrook)
• IA: What's Eating Gilbert Grape (Endora)
• KS: Superman (Smallville)
• KY: Elizabethtown (Elizabethtown)
• LA: All the King's Men (1949) (Mason City)
• ME: The Shawshank Redemption (Shawshank)
• MD: Hairspray (Baltimore)
• MA: Good Will Hunting* (Boston)
• MI: The Crow (Detroit)
• MN: Juno (Dancing Elk)
• MS: A Time to Kill (Canton)
• MO: Meet Me in St. Louis* (St. Louis)
• MT: A River Runs Through It* (Missoula)
• NE: Election (Omaha)
• NV: Smokin' Aces (Lake Tahoe)
• NH: The Rules of Attraction (Camden College)
• NJ: Garden State (Newark/South Orange)
• NM: The Tao of Steve (Santa Fe)
• NY: The Warriors (New York City)
• NC: Blue Velvet (Lumberton)
• ND: Fargo* (Fargo)
• OH: American Splendor (Cleveland)
• OK: The Outsiders (Tulsa)
• OR: Goonies* (Astoria)
• PA: Groundhog Day (Punxsutawney)
• RI: Dan in Real Life (Jamestown)
• SC: Slither (Wheelsy)
• SD: Son in Law (Sioux Falls)
• TN: Inherit the Wind (Hillsboro)
• TX: Dazed and Confused (Austin)
• UT: SLC Punk (Salt Lake City)
• VT: Super Troopers* (Spurbury)
• VA: Donnie Darko (Middlesex)
• WA: 10 Things I Hate About You (Seattle)
• WV: The Mothman Prophecies (Point Pleasant)
• WI: BASEketball (Milwaukee)
• WY: Brokeback Mountain* (Big Horn Mts)